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S&P Int. Mid Cap (MDD) Trend Following - PB1005
Tue, Dec 16, 2014, 10:04 PM
Post: #1
Index S&P Int. Mid Cap (MDD) Trend Following - PB1005
TARGET MARKET: SPDR S&P International Mid Cap ETF (NYSE Arca: MDD)
SUPPORTED PLATFORMS: TradeStation, MultiCharts
STRATEGY TYPE: Trend-Following
TIME FRAME: Intraday - 1 minute
REQUIRED INDICATOR(S): PivotBuilder Personal Trading Suite
INCLUDED COMPONENTS: 2xStrategy (LE, SE)
WORKSPACE DESIGNATION: PB1005

This workspace was designed with trend-following in mind. PivotBuilder is configured to detect trend and furthermore filter out unsubstantiated volatility (noise) that comes and goes with mid-cap stocks (and associated indices).

The strategy has been exhaustively tested. The testing considers, both, priciest commission, and slippage. Below are the complete performance results for the entire history of the MDD ETF (circa May 2008):

PivotBuilder Strategy PB1005: E-Mini (ES) Range Bar Level Trading Equity Curve

PivotBuilder Strategy PB1005: SPDR S&P International Mid Cap ETF (MDD) Trend Following Complete Performance Summary

PivotBuilder Strategy PB1005: SPDR S&P International Mid Cap ETF (MDD) Trend Following Trade Analysis

PivotBuilder Strategy PB1005: SPDR S&P International Mid Cap ETF (MDD) Trend Following Annual Return

PivotBuilder Strategy PB1005: PivotBuilder Strategy PB1005: SPDR S&P International Mid Cap ETF (MDD) Trend Following Total Trades Distribution


TradeStation/MultiCharts Strategy Properties:
  • Commission: $5/trade
  • Slippage: $10/contract
  • Trade Size: 1000 shares
  • Maximum Shares per position: 1000

The attached workspaces contain 2 Strategy add-ons for back-testing and auto-trading the setup:
  • Long-Entry (LE) - PivotBuilder conditions for opening long positions and simultaneously closing short positions
  • Short-Entry (SE) - PivotBuilder conditions for opening short positions and simultaneously closing long positions

The attachment ending with .tsw is a TradeStation workspace, while .wsp is intended for MultiCharts users.

Opening the workspace:
  1. Download the appropriate workspace, attached to the bottom of this post
  2. Copy the downloaded file into the:
    • TradeStation users: TradeStation\MyWork folder (e.g. C:\Program Files\TradeStation).
    • MultiCharts users: the default directory is your Windows Documents folder
  3. Launch TradeStation/MultiCharts, then go to File>>Open Workspace, or alternatively, press Ctrl-O
  4. Select PivotBuilder-E-mini-ES-Range-Bar-Level-Trading-PB1005 and select Open.

Once you load the workspace into your platform, enter the Serial number into each strategy add-on.

To avoid entering your Serial every time you open this workspace, enter the number once, then save it as a new workspace.

Marko Nikolic
President and Chief Developer
December 16, 2014, Toronto, Canada

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. YOU AGREE TO USING PIVOTBUILDER - PERSONAL SUITE AT YOUR OWN RISK. MARKO NIKOLIC, MARKO NIKOLIC INVESTMENT RESEARCH, AND NITRODE INC. ARE NOT LIABLE FOR ANY LOSSES YOU MAY INCUR BY USING PIVOTBUILDER - PERSONAL SUITE.



Attached File(s)
.tsw  PivotBuilder-Personal-MDD-1-minute-Trend-Following.tsw (Size: 58.5 KB / Downloads: 209)
.wsp  PivotBuilder-Personal-MDD-1-minute-Trend-Following.wsp (Size: 111.44 KB / Downloads: 199)
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